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Volatility spillovers between food and energy markets: A semiparametric approach

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  • Serra, Teresa

Abstract

Previous literature on volatility links between food and energy prices is scarce and mainly based on parametric approaches. This article examines these links by using a semiparametric GARCH model recently proposed by Long et al. (2011), which is essentially a nonparametric correction of the parametric conditional covariance function. The analysis focuses on price links between crude oil, ethanol and sugar prices in Brazil. Results suggest strong volatility links between the prices studied. Parametric approximations of the conditional covariance matrix may lead to misleading results that can be improved upon by using nonparametric techniques.

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  • Serra, Teresa, 2011. "Volatility spillovers between food and energy markets: A semiparametric approach," Energy Economics, Elsevier, vol. 33(6), pages 1155-1164.
    • Handle: RePEc:eee:eneeco:v:33:y:2011:i:6:p:1155-1164
    DOI: 10.1016/j.eneco.2011.04.003
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    More about this item

    Keywords

    Biofuels; Price volatility interactions; Semiparametric GARCH; Sugar;
    All these keywords.

    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q42 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Alternative Energy Sources
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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